GMM Estimation of Short Dynamic Panel Data Models with Interactive Fixed Effects

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概要

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• In this paper, we propose GMM estimators for short dynamic panel data models with interactive fixed effects. Moment conditions are obtained for the model where the projection method is applied to remove the correlation between regressors and interactive fixed effects. Monte Carlo simulation shows that the proposed GMM estimators perform reasonably well in finite sample.

• 日本統計学会の論文

著者

• Hayakawa Kazuhiko

  Department of Economics, Hiroshima University

関連論文

• GMM Estimation of Short Dynamic Panel Data Models with Interactive Fixed Effects

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